HP Inc APARCH Volatility Analysis
Volatility prediction for Monday, October 12th, 2026
1 Day
49.37%
1 Week
49.46%
1 Month
49.80%
Analysis last updated: Saturday, October 10, 2026 at 01:47 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 1990 to Oct 9, 2026Model Insight
This asset exhibits a strong leverage effect: negative returns increase next-day volatility 119% more than equivalent positive returns. The volatility power δ = 0.68 sits below 2, so large shocks influence volatility less than quadratically, a more outlier-robust response than standard GARCH.
APARCH Model
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| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.0235 | 3.02*** |
| αARCH | 0.0407 | 3.29*** |
| βGARCH | 0.9582 | 72.57*** |
| γleverage | 0.5179 | 3.02*** |
| δpower | 0.6848 | 3.33*** |
0.990
Persistence68d
Half-lifeAPARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0235 | 3.02*** |
α ARCH Response to squared shocks | 0.0407 | 3.29*** |
β GARCH Volatility persistence | 0.9582 | 72.57*** |
γ leverage Additional response to negative shocks | 0.5179 | 3.02*** |
δ power Transformation power | 0.6848 | 3.33*** |
Persistence:
0.990
Half-life:
68 days
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